SH vs. SPY
Compare and contrast key facts about ProShares Short S&P500 (SH) and SPDR S&P 500 ETF (SPY).
SH and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SH is a passively managed fund by ProShares that tracks the performance of the S&P 500 (-100%). It was launched on Jun 19, 2006. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both SH and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SH or SPY.
Key characteristics
| SH | SPY | |
|---|---|---|
| YTD Return | -15.65% | 26.83% |
| 1Y Return | -19.74% | 34.88% |
| 3Y Return (Ann) | -6.12% | 10.16% |
| 5Y Return (Ann) | -14.27% | 15.71% |
| 10Y Return (Ann) | -12.36% | 13.33% |
| Sharpe Ratio | -1.76 | 3.08 |
| Sortino Ratio | -2.57 | 4.10 |
| Omega Ratio | 0.72 | 1.58 |
| Calmar Ratio | -0.23 | 4.46 |
| Martin Ratio | -1.76 | 20.22 |
| Ulcer Index | 12.10% | 1.85% |
| Daily Std Dev | 12.11% | 12.18% |
| Max Drawdown | -93.65% | -55.19% |
| Current Drawdown | -93.63% | -0.26% |
Correlation
The correlation between SH and SPY is -0.99. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
SH vs. SPY - Performance Comparison
In the year-to-date period, SH achieves a -15.65% return, which is significantly lower than SPY's 26.83% return. Over the past 10 years, SH has underperformed SPY with an annualized return of -12.36%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SH vs. SPY - Expense Ratio Comparison
SH has a 0.90% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
SH vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Short S&P500 (SH) and SPDR S&P 500 ETF (SPY). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Dividends
SH vs. SPY - Dividend Comparison
SH's dividend yield for the trailing twelve months is around 6.81%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SH ProShares Short S&P500 | 6.81% | 5.37% | 0.32% | 0.00% | 0.16% | 1.49% | 1.01% | 0.06% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
SH vs. SPY - Drawdown Comparison
The maximum SH drawdown since its inception was -93.65%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SH and SPY. For additional features, visit the drawdowns tool.
Volatility
SH vs. SPY - Volatility Comparison
ProShares Short S&P500 (SH) and SPDR S&P 500 ETF (SPY) have volatilities of 3.77% and 3.77%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.